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Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies ?
| Content Provider | Semantic Scholar |
|---|---|
| Author | Marshall, Ben |
| Copyright Year | 2007 |
| Abstract | Quantitative market timing strategies are not consistently profitable when applied to 15 major commodity futures series. We conduct the most comprehensive study of quantitative trading rules in this market setting to date. We consider over 7,000 rules, apply them to 15 major commodity futures contracts, employ two alternative bootstrapping methodologies, account for data snooping bias, and consider different time periods. While we cannot rule out the possibility that technical trading rules compliment some other trading strategy, we do conclusively show that they are not profitable when used in isolation, despite their wide following. JEL Classification: G12, G14 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Marshall_2007.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Algorithmic trading Contract agreement Darknet market Data dredging Futures and promises Futures studies Rule (guideline) Smart contract |
| Content Type | Text |
| Resource Type | Article |
